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Forecasting stock returns using accounting data

Rok Povšič (2016) Forecasting stock returns using accounting data. MSc thesis.

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    Semi-strong form of the Efficient Market Hypothesis states that all public information is reflected in stock prices. According to this theory, publicly available accounting data should not have the ability to predict future relative stock returns. We take annual and quarterly survivorship bias-free accounting data for companies in the United States and Europe and test several value, quality, and statistical modeling strategies. We find that certain strategies utilizing this data do have predictive ability and that simple strategies that invests in companies that are both of quality and undervalued, work best.

    Item Type: Thesis (MSc thesis)
    Keywords: stocks, returns, forecasting, accounting data
    Number of Pages: 62
    Language of Content: English
    Mentor / Comentors:
    Name and SurnameIDFunction
    izr. prof. dr. Polona Oblak6760Mentor
    doc. dr. Erik Štrumbelj5570Comentor
    Link to COBISS: http://www.cobiss.si/scripts/cobiss?command=search&base=51012&select=(ID=1537340867)
    Institution: University of Ljubljana
    Department: Faculty of Computer and Information Science
    Item ID: 3675
    Date Deposited: 09 Dec 2016 12:18
    Last Modified: 01 Feb 2017 08:56
    URI: http://eprints.fri.uni-lj.si/id/eprint/3675

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